Moody’s Analytics insurance economic capital solution helps insurers calculate economic capital, using a one-year, Value-at-Risk (VaR) approach to perform capital allocation by product and risk category. The solution also offers critical insights that help evaluate solvency positions and support risk-based decision making.
Economic capital is increasingly being used by insurance companies to inform their internal views of available and required capital. The Moody’s Analytics solution addresses the business needs and production requirements associated with economic capital calculations and associated what-if analysis.
Our insurance economic capital solution provides the data management, calculation, and analytics to support decision making. This scalable, enterprise-wide offering enables users to manage capital modeling processes in a multi-user/multi-site environment. The engine for the one-year VaR capital calculations, developed around a Monte Carlo approach, is the capital aggregation module. Key inputs include proxy models for both assets and liabilities and one-year VaR risk scenarios for market and non-market risks.
Risk scenario generation enables insurers to project relevant risk drivers over a one-year time horizon. Proxy modeling reduces an insurer’s reliance on full asset liability management cash flow models for applications such as interim valuation, capital calculations, or hedge effectiveness.
Business Reporting and Analytics
Our Insurance economic capital solution supports a wide range of solvency and risk-based metrics to feed into business and regulatory market indices and support risk-based decision making. Its analytics include smoothed and unsmoothed VaR metrics, capital attribution, and diversification analysis. It also supports a broad range of what-if analysis including stress testing; using deterministic scenarios such as the impact of market stress; alternative portfolio analysis; and asset allocation.
Senior Director, Product Management
Brian joined Moody’s Analytics in 2012 and is responsible for product development and advisory within insurance across capital modeling and ERM. More recently he has been leading Moody’s Analytics insurance business insight offering, which helps in areas such as stress and scenario testing, and business projections.
GCorr Macro EL Calculator addresses regulatory requirements for stress testing and assists in strategic portfolio credit risk management.
The Market-Consistent Economic Scenario Generator contains stochastic asset modeling tools in a flexible framework to produce risk-neutral scenarios.
The Real World Economic Scenario Generator contains stochastic asset modeling tools within a flexible framework for a wide range of risk management activities.
The Risk Scenario Generator (RSG) produces market and non-market risk scenarios to support capital modeling and risk aggregation for insurers.
The RiskFoundation platform provides a controlled enterprise environment to implement and manage a risk management system and comply with regulatory frameworks.
RiskFrontier software is an industry-leading credit portfolio risk management solution, trusted by financial institutions globally to improve business performance.
RiskIntegrity Capital Aggregator enables insurers to calculate one-year VaR, risk-based capital, using a Monte Carlo approach.
The RiskIntegrity Internal Model software supports insurers in the automation of processes to calculate and report their regulatory or economic capital.
The RiskIntegrity Proxy Generator is an enterprise solution that calibrates proxy functions to model metrics, such as asset and liability values.
Moody’s Analytics Scenario Service provides economic scenarios that describe plausible future paths of variables that are coherently related.